An extension of CreditGrades model approach with Lévy processes (Q2866399): Difference between revisions

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+https://doi.org/10.1080/14697681003777089
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+W1987476802
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@@ Property / cites work @@
+Processes of normal inverse Gaussian type
@@ Property / cites work: Processes of normal inverse Gaussian type / rank @@
+Normal rank
@@ Property / cites work @@
+Financial Modelling with Jump Processes
@@ Property / cites work: Financial Modelling with Jump Processes / rank @@
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@@ Property / cites work @@
+Optimal capital structure and endogenous default
@@ Property / cites work: Optimal capital structure and endogenous default / rank @@
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+A transform approach to compute prices and Greeks of barrier options driven by a class of Lévy processes
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+Single name credit default swaptions meet single sided jump models
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+A Jump-Diffusion Model for Option Pricing
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+Modeling growth stocks via birth-death processes
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+The Variance Gamma Process and Option Pricing
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+Option pricing when underlying stock returns are discontinuous
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+A double exponential formula for the Fourier transforms
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+Q4937701
@@ Property / cites work: Q4937701 / rank @@
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@@ links / mardi / name / links / mardi / name @@
+Publication:2866399